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Ș. Gherghina

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Open access Oct 2026

Geopolitical risk spillovers among GCC stock markets, non-renewable energy, and gold: evidence from a quantile connectedness approach

Evaluating systemic risk transmission across financial and commodity markets is vital for maintaining macroeconomic stability in hydrocarbon-dependent economies. This study investigates the propagation of geopolitical risk across Gulf Cooperation Council equity markets, non-renewable energy commodities (crude oil and...

Nidhal Mgadmi, Fekria Belhouichet, Ș. Gherghina et al. · 0 citations
Open access Sep 2026

Modeling Financial Stability Under Economic and Financial Downturns: A PDE-Constrained Optimization Approach with Regime-Switching Stochastic Volatility and Jumps

We develop a PDE-constrained optimization framework for calibrating a regime-switching Heston–Merton model to S&P 500 index option prices. The model features two latent Markov regimes modulating stochastic volatility parameters and compound Poisson jumps, capturing the stylized fact that market volatility clusters diff...

Desmond Marozva, Selah Tanaka Marozva, Ș. Gherghina · 0 citations

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